SeasonAlgo.com platform advantages

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SeasonAlgo is the first and only platform designed for seasonal spread trading. Started as personal project for spread analysis, released later publicly for fellow traders, improved with ideas from the community, SeasonAlgo became a professional service available to all spread traders. The whole platform consists of several tightly integrated modules.

Analyze

Technical analysis of seasonal spreads is not complicated but requires specific tools, which are not available in common retail trading platforms. None of them was designed for seasonal spread trading. Some basic charts and seasonal patterns can be displayed, but either some add-on modules or custom indicators are required. Working with spreads is complicated and slow, with limited functionality. We designed our platform with all seasonal spread trading nuances in mind. Analysis tools include the following:

• Real time analysis of any spread you want - We don’t use precomputed results, we calculate everything on the fly. Maybe you can ask how that is possible when these calculations are very demanding and our application response is almost instantaneous. Firstly, we use high performance servers to do hard work, but raw computing power is not everything. The core of our system are state-of-the art algorithms. As efficiency is our obsession, we enjoy every saved microsecond in algorithm run time resulting in a very fast real time system.
• Multi-leg spreads - Build any spread you want, including Crack and Crush spreads, Butterflies and Condors. We support also ratio and equity spreads.
• Intraday delayed data - Usually spreads are traded based on End of day data and trade management takes place once a day. But if you seek some spread with higher daily volatility (either to enter or exit) or simply if you like to have control over your portfolio, with our real time system and intraday data you can see the actual state at any given time.
• Cross Browser Platform running in Cloud - Our platform is hosted in the Cloud based on SaaS (Software as a Service) model. No need to download or install any software. All you need is a web browser. You are not bound to a single computer, you can access SeasonAlgo from any computer, anywhere, anytime.
• Interactive charting - Static chart in Builder can be switched to interactive Flash chart. It allows basic technical analysis including application of indicators, drawing tools and a dollar meter for easier reading dollar values of stop loss and profit target determination.
• Seasonal patterns with history up to 30 years - Our charts offer various length seasonal patterns. You can choose from 5,10,15,20 or 30 years. Usually a good compromise are 15 (long-term perspective) and 5 (recent tendencies) years patterns. But some commodities have very reliable multi-year seasonality and you can find nice trades even on a 30 years history. Extensive data history and different types of history charts – Our database covers up to 90 years of history data. Beside the seasonality, it’s always very important to examine current year spread position compared to history spreads before entering the trade. History and current position helps you to see spread potential and determine stop loss and profit target. We offer you more ways to display history:
  • History charts – One year spread per chart to see the exact spread behavior
  • Continuation chart – Monthly OHLC continuation chart.
  • Stacked chart – Line chart with all history spreads displayed on the same timeline.

  Continuation and stacked chart are just different visualizations of the same thing, you can use one based on your preference

• Spread combinations chart - One spread can be usually traded in different month’s combinations, each having own volatility. Combinations chart shows you all spreads with expiration within one year so you can pick one with volatility suitable for your stop loss.
• Spread Backtester - Define your seasonal window by enter and exit window and let the computer do the hard work for you. Backtest answers the question what would happen if spread is traded every year by entering trade at the beginning and exiting at the end of seasonal window. No optimizations, no stop losses and profit targets, just pure seasonality. Backtest is calculated for 5, 10, 15, 20, 30 and maximum years in history. Result includes win probability, total profit, average drawdown, profit factor, stop loss and other parameters. And of course equity chart.
• Seasonal correlations - Correlation is statistical measure of how some data series move in relation to each other. We calculate two important correlations:
  • Seasonal patterns correlation – Calculated for whole pattern and seasonal window. This correlation between different years patterns showd changes in seasonal tendencies. If long term pattern doesn’t correlate with short term pattern, we can assume fundamental changes in the commodity and should be very careful to trade such a spread.
  • Current year and history correlation – High correlation between current spread and history spread can indicate similar fundamental conditions. All years with high correlation are used for pattern calculation. You can use it as additional filter, if you see high correlation with years which moved against the seasonality, it’s probably better to stay away this year.
• Optimize seasonal window - Do you have a spread with nice trending seasonal pattern and you don’t know where to place seasonal window? Optimizing by backtesting all possible enter/exit combinations helps you to find the best seasonal window. Currently we support two calculations:
  • Quick – Backtest evaluates only win probability and profit. It allows you to find seasonal window in up to 12 months.
  • Detailed – Backtest includes more parameters and gives you more results. You can choose seasonal window based on you preferences (max WIN, max RRR, min SL etc.). Detailed optimization is more calculation demanding then the quick one, so maximum seasonal window is limited up to 3 months.
  Win% and Profit/Loss Heatmaps helps you to see big picture and the robustness of seasonal windows.
• Spreads combinations browser with PDF export - Do you have a specific commodity and you want to search it for trading opportunities by examining all months combinations? Browser allows you to quickly run through all combinations. Displaying patterns and continuation chart, you can see seasonality and position of current year and move interesting spread to builder for further detailed analysis. You can also export all charts to PDF for later offline review.
• Forward curves - Forward curves are commonly used to either manage risk of a portfolio or determine the present value of future returns from a specific financial instrument. The shape of a forward curve provides insight into the strength or weakness of the market and helps you to determine contango or backwardation in the market.In the case of fundamental factors, it is often desirable to deseasonalize the data. Deseasonalized forward curve removes seasonal premium and reveals stochastic (non-deterministic) features. You can also use forward curve seasonal patttern and history analysis to check current curve against history.
• The Commitments of Traders (COT) - The weekly report details trader positions in most of the futures markets. We provide Legacy, Disaggregated and Financial Traders reports with charts and some useful indicators including COT Index and Open Interest breakdown.

Strategies

Strategies

How and where to look for seasonality? First option is to study each commodity fundamentals which are behind seasonal movements. But this can be very difficult. You have to study each commodity in great detail and do a manual research on your own. And remember, fundamental analysis is the playground of commercials, it’s their bread and butter. You can never match their knowledge and information as retail trader. Second option is to let statistic and computer do the hard work and research for you. Nowadays, with all the computing power, it’s not a problem to use data mining for discovery of seasonal strategies. There are some other companies offering such a research, but none of them have integration with analysis platform and their database with potential seasonal strategies is limited. We give you thousands of strategies and a smart search engine to select the strategies which suit your trading style. Our research of seasonal strategies includes following:

• Thousands of seasonal strategies for each month - Every month our algorithms backtest over 500 million combinations of spreads, outright and seasonal windows resulting in around 45000 for each month. For every spread we don’t save just one seasonal window, but based on various parameters (win, profit factor, RRR, stop loss etc.), we save up to ten different seasonal windows. You can select your trade by your preferred parameters.
• Standard and extended seasonal window - We use two seasonal windows with different length, backtesting all possible enter and exit combinations. Standard window allows maximum 3 months length trades, extended window uses up to 6 months to discover longer term opportunities.
• Five possible backtest lengths - All strategies are backtested on five (5, 10, 15, 20, 30) different history lengths. The longer history, the less opportunities to trade. But the reliability is far greater. Some commodities changed their seasonal behavior over the time, so you can use shorter history.
• Intercommodity, Intracommodity, Intra-crop spreads - Being a beginner trader, you should trade only less volatile and risky spreads. Intra-crop spreads are the safest choice. Once having gained more experience, you can move later to Intracommodity spreads and, with larger account, to Intercommodity spreads.
• Smart search engine - Having so many strategies in a database, it can be challenging to find the best ones or those which fit into your current portfolio. Our search engine allows you to specify various parameters to narrow down and filter strategies.
• Recommended monthly strategies - If you are a beginner trader and you are overwhelmed by number of strategies in our database, you can use our recommended monthly strategies as a start. Every month we select cca 15 outright futures and 15 spread strategies from all strategies available for that month.
• Search trades with historical extreme values - Spreads often moves in channels. Trading spreads near or outside the channel boundary can increase win probability and give trade space for potential profit and logical place for stop loss. Less frequent but more profitable can be trades starting near historical all time extremes. Search engine offers two parameters to filter this opportunities.
• Custom indicators - We developed many custom indicators which you will not find elsewhere. For example: Regression Index (RIDX) evaluates quality of seasonal pattern, Corr5 shows long term and short term seasonal patterns correlation, OpenPL calculates open profit or loss of position in the seasonal window etc.
• Favourites - Every user can use our rating system and express his opinion about the trade. Being a beginner trader, you can see which spreads other traders in our community choose to trade and how they feel about it. We are using a five star scale to show spread’s popularity.
• Scanner - Evaluates all possible current outrights and spreads and enables you to find interesting trades based on defined indicators. Currently you can use RSI, CCI, Bollinger Bands, Historical Volatility and our special Range/Support/Resistance detection.

Portfolio

It’ always good to have evidence of your trades. But in seasonal trading, it’s very important. Seasonality is cyclic, which means that next year you can trade the same opportunity. After few years you can have your own portfolio and pick trades only from it. Our portfolio management is integrated in platform and includes following:

• Easy workflow and folder system with watchlist, tradebook and - Our platform allows managing complete spread trading lifecycle (except order management in your broker’s platform):
  • Select strategies in search engine
  • Analyze strategy for potential trade
  • Move spread to watchlist to wait for possible entry
  • After entering the spread, move it to tradebook and record your trades including automatic commissions management
  • Use summary for quick portfolio overview
  • Finished spreads move to archive
  • Check statistic to see your performance
• Charts overview with profit - Portfolio display charts with profit calculation. You can very quickly skim through to check your waiting and open spreads.
• Tags and priority filters - Spreads in portfolio can be assigned with arbitrary number of user defined tags and five levels of priority. These methods of filtering and sorting allow you to create your own custom system of portfolio management.
• Summary table - Displays spreads in compact format including open and total profit, last price, your average price, number of contracts, etc. Trades can be managed directly from table, so you don’t need to see charts, all you need is this summary table. Tags, priority and other filters are applicable.
• Performance statistics - Includes various profit and loss summaries with drilldown details by years, quarters and months. Chart shows your closed profit equity.

Alerts

It's very important to be notified when some expected or unexpected market situations arise. Broker's platforms usually don't support alerts for spreads. In our platform you can set up alerts for both outrights and spreads. There are two types of alerts:

• Price alerts - Can be set for individual charts in portfolio to watch price.
• Open P/L alerts - Can be set to watch open profit/loss of whole portfolio or individual charts (positions).
• Date alerts - Don't miss your seasonal window entries and exits and other important dates.

Advanced backtester

Backtester in Analyze allows only basic backtesting functionality. Enter and exit of trade are possible only on exact boundaries of seasonal window without any trade management. No stop losses, profit targets, multiple contracts etc. You can backtest only one spread at a time, not to mention difficult comparison of different result. Available retail trading platforms don’t allow seasonal and spread backtesting at all, because of its specific requirements. We feel there is a lot of room for improvement and we already started to work on full feature advanced backtester for seasonal spread trading. Nowadays it’s still concept but we are working on a new version. Currently advanced backtester allows:

• Backtest one spread inserted from Analyze
• Walk-forward optimization
• Trade management with application of stop loss and profit target
• Different result comparison including equity chart

Roadmap with enhancement we are working on:

• Portfolio backtesting
• Spreads selection from seasonal strategies
• Various parameters optimizations
• Expanded reports